Stochastic Differential Utility

DOI10.2307/2951600zbMath0763.90005OpenAlexW1994823764MaRDI QIDQ4006270

Larry G. Epstein, J. Darrell Duffie

Publication date: 26 September 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2951600

zbMATH Keywords

Bellman equationstochastic controlchoice under uncertaintyBrownian informationstochastic differential formulation of recursive utility

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Optimal stochastic control (93E20) Individual preferences (91B08)

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